It's Not the End of the World is set mainly in New Jersey, where Karen Newman lives with her parents and where the author, Judy Blume, was born. It's also where she wrote the book while her marriage was going through a very rough patch.

There aren't too many mentions of the Garden State in the book, but we can work out the main setting from some dialog that takes place between Karen and her father, Bill. Bill's heading off to Las Vegas, Nevada, where he will stay with his father. Once there, as he confirms to his son, Jeff, he intends to get a Nevada divorce, a much quicker and easier divorce than is possible to obtain in most other states.

Karen doesn't understand. She wants to know why her father doesn't get a divorce in New Jersey. Bill tells her that that would take too long, at least a year. Karen still doesn't see the problem, so Bill explains that he and Karen's mom have agreed that it's best to get things settled straight away.

Later on in the story, we have further confirmation of the book's setting, when Karen's mom discusses where they might live. She thinks about moving someplace warm like California or Florida. That's when Karen wonders what will happen if they move to Florida and her mom doesn't like it. Would they move back to New Jersey, or would they try California instead?